Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006
covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate …Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …